Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8902018 | Journal of Computational and Applied Mathematics | 2018 | 33 Pages |
Abstract
Algebraic Riccati equations are encountered in many applications of control and engineering problems, e.g., LQG problems and Hâ control theory. In this work, we study the properties of one type of discrete-time algebraic Riccati equations. Our contribution is twofold. First, we present sufficient conditions for the existence of a unique positive definite solution. Second, we propose an accelerated algorithm to obtain the positive definite solution with the rate of convergence of any desired order. Numerical experiments strongly support that our approach performs extremely well even in the almost critical case. As a byproduct, we show that this method is capable of computing the unique negative definite solution, once it exists.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Matthew M. Lin, Chun-Yueh Chiang,